CSFB/Tremont Hedge Fund Index Down In October

Investors Offshore, London

19 November 2002

The CSFB/Tremont Hedge Fund Index is down -0.04% for October 2002, according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC.

“Down slightly in October, hedge funds continued to provide the power of diversification to portfolios,” said Mr. Schupp. “October performance reflects the ongoing effect of the Bristol Fund’s devaluation, which affected the CSFB/Tremont Fixed Income Arbitrage category somewhat, but because the Index provides broad diversification across more than 400 funds, the impact is slight.”

Mr. Schupp added, “Amid the turbulent equity markets over the past three years, hedge funds have shown remarkable stability with very low volatility.”

“Emerging markets had a solid month during October, reporting gains of 2.38%,” said Robert I. Schulman, Co-Chief Executive Officer of Tremont Advisers. “Year-to-date, however, the CSFB/Tremont Dedicated Short Bias Index is on top, up 20.56%.” Second-best performing style was Convertible Arbitrage, up 1.03% in the month, while Managed Futures came second year-to-date, up 14.56%.

However, the Dow put hedge funds in the shade for the month, rising 10.81%, although the S & P and Nasdaq both showed falls over 10%. Year-to-date, the Index is up 0.85%, while the Dow in down 14.83%, and other indices are worse off.

TThe CSFB/Tremont Hedge Fund Index October NAV is 243.23, returning 143.23% for the 106-month period since inception (January 1, 1994 through October 31, 2002).

The CSFB/Tremont Hedge Fund Index is comprised of 406 funds as of October 1, 2002, up from 383 as of September 1, 2002. The 23 funds added include Tiedemann Global Emerging Markets, American Masters Broad Market Fund II Ltd, Elm Ridge Value Partners Offshore Fund Inc, Canyon Value Realization Fund (Cayman) Ltd (C), Gruss Arbitrage Partners LP, Gruss Offshore Arbitrage Ltd, Tamarack International Ltd, MKP Credit Offshore Ltd, Structured Servicing Holdings Master Fund LP, Crestwood Capital Partners LP, Henderson European Absolute Return Fund Ltd (Euro), Hunter Global Investors Fund I LP, Hunter Global Investors Offshore Fund Ltd, Lansdowne UK Equity Fund Ltd (Euro), Lansdowne UK Equity Fund Ltd (GBP), Lansdowne UK Equity Fund Ltd (USD), Lazard Global Opportunities Ltd, Lazard World Wide Opportunities Ltd, Lazard Worldwide Opportunities LP, Leonardo Capital Fund Ltd, New Star Hedge Fund Ltd (GBP), Pegasus Fund Ltd, and Whiteford International Ltd.

The Index is constructed using the TASS database of more than 2,600 hedge funds. It includes both open and closed funds located in the U.S. and offshore, but does not include funds of funds. In order to qualify for inclusion in the index selection universe, a fund must have US $10 million under management, a 12-month track record, and an audited financial statement. Index funds are selected using a formula based on assets under management that ensures the Index always represents at least 85% of total assets in each of nine strategy-based sectors in the selection universe. Once added, funds are not excluded until they liquidate or fail to meet the financial reporting requirements, in order to minimize survivorship bias. The Index is calculated on a monthly basis and adjusted on a going-forward basis for capitalization and return.

The CSFB/Tremont Hedge Fund Index, the largest hedge fund benchmark, was designed to establish a standard for tracking and comparing hedge fund performance against other major asset classes, like the S&P 500, on a global basis. Its web site provides interactive tools that allow users to manipulate the information and customize their research.

Recommended